Using JacK's tip "reveals" the previously hidden "My Computer" Zone, which can then be customized using the IE Internet Options > Security tab. See screen shot.

You need to exercise a little caution in restricting the settings in there if only because Windows uses things like ActiveX locally on your computer for various support functions. If you were to customize the My Computer Zone and say set all the ActiveX options to disabled, you might have difficulty running some local Windows utilities.

But, it can be interesting playing around with those functions and seeing what you can do with them. But, you may want to make note of the defaults before you start changing them, in case you want to change them back.